Model Risk Management: Risk, Pricing & Credit Models, Frankfurt
Comprehensive two day training on the current regulatory landscape of model risk management and best practice approaches for modelling across risk, pricing and credit models.
Running for the first time in Frankfurt, our hugely successful Model Risk Management training will provide delegates with best practice approaches to implementing and governing a model risk framework with a focus on model risk across risk, pricing and credit models.
What will you learn?
- A new or enhanced understanding of the current regulatory landscape of model risk
- How to build a model risk management framework
- Model risk management approaches to pricing models
- How to model credit models including IFRS 9 and CECL
- Model risk management for stress testing
- Best practice approaches to validating models through machine learning
Who should attend?
Relevant departments may include but are not limited to:
- Model risk management
- Model validation
- Risk modelling
- Internal audit
- Model control
- Market control
- Market risk
- The Evolving Regulatory Landscape
- Implications for Governance – Putting it all into Practice
- Building a Model Risk Management Framework
- Model Risk Management of Pricing Models
- Model Risk Management of Risk Models
- Model Risk Management of Credit Models
- Model Risk Management for Stress Testing
- Machine Learning in Model Validation
Head of Value-at-Risk and Pricing Models
Deutsche Bank - DB PFK AG - Postbank
Jan-Philipp Hoffmann was studying mathematics and economics at University of Göttingen and received his PhD in mathematics in 2004.
Afterwards he joined the pricing model validation and market risk methodology team at LBBW. In 2010 he joined Postbank, a Deutsche Bank subsidiary, where he is heading the team developing pricing models and value-at-risk methodology.
Under his responsibility credit, market and operational risk models are defined and implemented as well as pricing and expected credit loss impairment methodology is developed.
Chief Risk Officer
Roberto since December 2018 is Chief Risk Officer of Banca Carige where he was previously Head of Risk Management. Roberto’s other experiences in quantitative risk management were in Banca IMI in market risk and in Banco BPM in operational and credit risk. He has also been portfolio manager for Quaestio Capital and San Paolo IMI Asset Management. He was also Head of Credit Derivatives Structuring at BBVA and Quantitative Analyst in Credit Derivatives at Banca IMI and Equity Derivatives at Lehman Brothers. He holds a Bachelor’s degree in Economics from Università Bocconi in Milan. He also holds a MA in Economics from Universita` Bocconi and MS in Financial Mathematics from University of Chicago.
Dr Peter Quell
Head of Portfolio Modelling for Market and Credit Risk Market & Credit Risk
Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and
Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is
responsible for methodological aspects of Internal Risk Models, Economic
Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at
d-fine GmbH where he dealt with various aspects of Risk Management Systems
in the Banking Industry. He holds a MSc. in Mathematical Finance from
Oxford University and a PhD in Mathematics. Peter is member of the
editorial board of the Journal of Risk Model Validation.
Head of Model and Portfolio Risk Management
Addiko Bank AG
Boris Grabovickic, head of Model and Portfolio Risk Management in Addiko Bank AG is responsible for the integration of data driven models/methodology and portfolio management topics to ensure a consistent quality oriented environment of all credit risk parameters (PD, LGD, EAD, IFRS 9) with focus on P&L, economic capital, stress test etc. reflecting business strategy of the group.
Prior joining Addiko, Boris was working in various other banks in the modelling/validation area within strategic risk management.
Senior Consultant, Model Risk Management
Miriam Bohnacker is a Senior Consultant at Management Solutions with focus on the Model Risk Management domain. During her career at Management Solutions, she has participated in the assessment and implementation of MRM frameworks at several European D-SIBs and G-SIBs, as well as in model-related assignments at the European Central Bank.
She holds a B.Sc. double degree in International Management at the ESB Business School, Reutlingen, and at the Universidad Pontificia Comillas, Madrid.
Dr. Markus Oldenburg
Senior Risk Manager
Markus Oldenburg works as a senior expert for Model Validation at DekaBank, where he is involved in validating pricing and risk models. His responsibilities include model monitoring and model risk management. He has a long standing experience in financial risk management and previously held a position as Desk Controller for equity and interest rate trading desks.
Markus Oldenburg received his doctoral degree in Physics from the Technical University of Munich.
Javier Calvo Martín
Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:
- Model risk management
- Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
- Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
- Economic capital modelling
- Risk organisation and governance, and risk appetite
He also leads Management Solutions’ Research and Development function and co-leads operations in France.
He holds a B.Sc. in Mathematics by the Universidad Autónoma de Madrid in 2001, a Maîtrise en Ingénierie Mathématique equivalent through an Erasmus scholarship by the Université Pierre et Marie Curie (Paris 6) in 2001, and postgraduate courses in Mathematical Foundations of Computing by Universidad Politécnica de Madrid in 2002.
Sjoerd works in the Financial Risk team of Deloitte, with almost 9 years of experience in the financial sector. He has worked on numerous assignments in the areas of model risk management, model development and validation within the financial services industry, including banks, insurers and investment managers. His focus is on building model risk management frameworks and on the model development and validation of regulatory and non-regulatory market risk models.
Koen Dessens leads the Financial Risk team at Deloitte and has over 16 year of experience in the financial sector. With that experience he brings insights across a wide range of model types, with a focus on credit, market and economic capital methodologies. He is responsible for the model risk management initiative at Deloitte and has assisted several financial institutions in building a leading model risk management framework.
Dr. Sven Ludwig
Managing Director, Global Head of Subject Matter Experts and Advisory, FIS Global and Regional Director, PRMIA
Dr. Sven Ludwig is Managing Director, Global Head of Subject Matter Experts and Advisory at FIS. In addition, Sven holds the position as Regional Director at PRMIA, the international risk management association with more than 50.000 members globally.
Before joining FIS, Sven was responsible for the Trading- and Risk Management IT at a major German Bank. He started his professional career as financial consultant for trading and risk management.
Sven studied Economics at the Friedrich Wilhelm University of Bonn in Germany. In the field of mathematical economic research and behavioral finance he conducted his doctoral thesis.
Sven is a frequent invited speaker at major international conferences and known as author of more than 30 publications in the area of banking, asset management and insurance. He also edited a book on counterparty risk, IFRS and CVA.
Co-Founder and CEO
Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).